Risk System for Hedge Funds of Funds

wgehin · May 18th, 2005, 12:38 pm

I would be interesting in having some feedback from HFoF boutiques or managers of HF baskets who are using Risk Systems like RiskMetrics, Barra, FOFiX, etc.Thx.

sizzla · May 20th, 2005, 12:12 am

I am familiar with RiskMetrics and Barra - but we use FOFiX at my shop...it basically allows to do factor decompositions and VaR calculation using either time series and actual positions....but it is a pain for actual positions...

sizzla · May 20th, 2005, 1:53 am

Another system is Bear's Measurisk....